Portfolios

The MTI ratio started the month with a neutral reading and subsequently plummeted into negative territory, where it remains today. We are maintaining a defensive position and cut equity exposure to 35%, down from 38% in early-August, and 48% in late July.

Our AdvantHedge gross composite gained 3.6% in August, underperforming the inverse performance of the S&P 500 (-6.0%), Russell 2000 (-6.3%), and NASDAQ (-6.7%). Despite this month’s underperformance AdvantHedge is up 4.1% YTD compared to the S&P 500 loss of 2.9%.

The three largest sector positions are Information Technology, Energy, and Industrials. Energy exposure exceeds its weight a year ago and remains higher than its 2014 year-end weight of 10%.

Select Industries gross composite gained 1.3% in July, lagging the S&P 500 (+2.1%).

Our AdvantHedge gross composite gained 1.8% in June, about on par with the inverse performance of the S&P 500 (-1.9%), and outpacing the inverse of the Russell 2000 (+0.8%) and NASDAQ (-1.6%). So far in 2015, AdvantHedge is down 3.9% compared to the S&P 500 gain of 1.2%.

The three largest sector positions are Energy, Info Tech, and Industrials. Energy exposure exceeds its weight a year ago and remains significantly higher than its 2014 year-end weight of 2%.